Type of Publication: | Working Paper/Technical Report |
URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-116724 |
Author: | Beran, Jan; Heiler, Mark A. |
Year of publication: | 2008 |
Series: | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 2008/01 |
Summary: |
We consider dependence structures in multivariate time series that are characterized by deterministic trends. Results from spectral analysis for stationary processes are extended to deterministic trend functions. A regression cross covariance and spectrum are defined. Estimation of these quantities is based on wavelet thresholding. The method is illustrated by a simulated example and a three-dimensional time series consisting of ECG, blood pressure and cardiac stroke volume measurements.
|
Subject (DDC): | 330 Economics |
Keywords: | Nonparametric trend estimation, cross spectrum, wavelets, regression spectrum, phase, threshold estimator |
Comment on publication: | Also publ. in: Journal of Multivariate Analysis ; 99 (2008), 4. - S. 684-714 |
Link to License: | Attribution-NonCommercial-NoDerivs 2.0 Generic |
Bibliography of Konstanz: | Yes |
BERAN, Jan, Mark A. HEILER, 2008. A nonparametric regression cross spectrum for multivariate time series
@techreport{Beran2008nonpa-507, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={A nonparametric regression cross spectrum for multivariate time series}, year={2008}, number={2008/01}, author={Beran, Jan and Heiler, Mark A.}, note={Also publ. in: Journal of Multivariate Analysis ; 99 (2008), 4. - S. 684-714} }
<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/507"> <dc:contributor>Beran, Jan</dc:contributor> <dcterms:rights rdf:resource="http://creativecommons.org/licenses/by-nc-nd/2.0/"/> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights> <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/507/1/cofe_dp08_01.pdf"/> <dc:format>application/pdf</dc:format> <dc:language>eng</dc:language> <dc:contributor>Heiler, Mark A.</dc:contributor> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:issued>2008</dcterms:issued> <dcterms:title>A nonparametric regression cross spectrum for multivariate time series</dcterms:title> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/507"/> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:49Z</dc:date> <dc:creator>Heiler, Mark A.</dc:creator> <dcterms:abstract xml:lang="eng">We consider dependence structures in multivariate time series that are characterized by deterministic trends. Results from spectral analysis for stationary processes are extended to deterministic trend functions. A regression cross covariance and spectrum are defined. Estimation of these quantities is based on wavelet thresholding. The method is illustrated by a simulated example and a three-dimensional time series consisting of ECG, blood pressure and cardiac stroke volume measurements.</dcterms:abstract> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:49Z</dcterms:available> <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/507/1/cofe_dp08_01.pdf"/> <dc:creator>Beran, Jan</dc:creator> </rdf:Description> </rdf:RDF>
cofe_dp08_01.pdf | 196 |